You have to import it into iTunes. In iTunes, it's the File | Add file or Add Folder option (or it might be called Import File or Import Folder). Then select your video file and it will import it into iTunes. From there, you will see them in the Movies tab and available for synching when your iPad is plugged in.
Note: My laptop is in the other room and turned off, so the menu option titles are by memory.
I'm guessing the OP is trying to sync an AVI or WMV file or some other unsupported format. iTunes only accepts the m4v or mp4 file format, and no you cannot just rename the file...you have to convert it using a free program called Handbrake, or if you want a quicker, nice way, something like Nero Recode which is part of a $70 suite of Nero products.
there are other methods to make this work... for example oplayer will play many of these other formats and includes methods to transfer such files, like FTP and web streaming.
